MANAGEMENT REPORT OF FUND PERFORMANCE

Harvest Global Gold Giants Index ETF

December 31, 2020

Th e Fund’s proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosure, can be obtained at your request, and at no cost, by calling us at 1-866-998-8298; by writing to us at Harvest Portfolios Group Inc., 610 Chartwell Road, Suite 204, Oakville, Ontario, L6J 4A5; by visiting our website at www. harvestportfolios.com; or on SEDAR at www.sedar.com. Harvest Global Gold Giants Index ETF

CORPORATE OVERVIEW

Harvest Portfolios Group Inc. (“Harvest” or the “Manager”) is a Canadian Investment Manager founded in 2009. Harvest is focused on developing investment products that follow three investment criteria.

We (i) endeavor to develop investment products that are clear in their mandate and easy for investors to understand, (ii) strive to be transparent so that our investors can review their financial reports and know exactly what they own and (iii) seek to provide investors with consistent monthly or quarterly income by investing the fund portfolios in well managed companies that have a steady cash flow and dividend-paying history.

INVESTMENT PRODUCT

The Harvest Global Gold Giants Index ETF (the “Fund”) seeks to replicate, to the extent reasonably possible and before fees and expenses, the performance of the Solactive Global Gold Giants Index TR. The Fund primarily invests in large issuers that are listed on a regulated stock exchange in North America, Australia or in certain European countries.

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PRESIDENT’S MESSAGE

Harvest Global Gold Giants Index ETF

Unitholder letter March 2021

Dear Valued Investor,

Thank you for your patience and persistence in what was an unprecedented year of disruption to human health, global economics and markets. As investors your resolve was truly tested, we have all grown to expect market corrections but to face the first truly global pandemic in 100 years, the ensuing economic fall out, a market correction of 35% in 4 weeks and the polarized divisions in American society leading up to and after the US election showed strength and belief in the longer- term direction of markets.

Throughout all this disruption the US Fed has reinforced their desire to maintain record low interest rates for the next 2 years. These low rates have created a strong floor for stock markets as the alternative risk-free interest rate remains basically at “0”. I am of the belief that we are in a bottoming process of what has been a 40-year decline of interest rates which has alternatively led to the great bull market in bonds. This too I believe is in a “topping” process as rising rates will lead to dropping bond prices. This process may take the next couple of years to play out if the Fed holds to its policy; that said, their next move could (down the road) very well be higher.

I am admittedly biased as I have never owned a bond in my investing career; rather I have always leaned towards equity ownership and the long-term growth and value add of great companies run by solid, competent management. As we finish 2020 and roll into 2021 the sentiment is that markets have got ahead of themselves and maybe we are due for a pull back. I would argue here that corrections of 5-10% are commonplace in bull markets and unless we see another Black Swan event like COVID-19, the economy should right itself over the coming 2 to 4 quarters and markets will move ahead as they historically have.

I believe younger investors should always be looking for longer term growth through equities. For those looking at retirement, I was recently interviewed and asked about traditional bond/equity positioning. My thoughts again here are stay more heavily weighted to quality, dividend-paying equities or “Equity Income”. People are living longer; rates are low and if they eventually go higher the income will improve at a cost to your capital. Equity markets will move up and down but have averaged approximately 8% per annum (S&P 500 since 1957) which is an excellent rate of return while generating income over what could be 2 to 3 decades of retirement.

Harvest has traditionally focused on large capitalization Equity Income ETFs and this will continue to be our core, but over the last couple of years we have built ETFs focused on long term secular growth trends which include smaller and medium capitalized companies with little to no dividends or option markets for income. Most recently we launched the Harvest Clean Energy ETF (HCLN) and the Harvest Travel & Leisure Index ETF (TRVL), both of which are based on great long-term growth themes. I encourage you to go to our website and find out more about them and their unique prospects.

In conclusion, Harvest will remain true to our long-term equity bias focusing on growth industries and secular growth trends, choosing companies that we feel are best in class and generating attractive income within our Equity Income ETFs.

On behalf of Harvest, I would like to thank you for your continued trust and investment in our products.

Sincerely,

Signed “Michael Kovacs”

Michael Kovacs President and Chief Executive Officer

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Harvest Global Gold Giants Index ETF

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

The annual management report of fund performance contains financial highlights but does not contain the complete annual financial statements of the Fund. For your reference, the annual financial statements of the Fund are attached to the annual management report of fund performance. You may obtain additional copies of these documents at your request, and at no cost, by calling toll free at 1(866) 998-8298; by writing to us at Harvest Portfolios Group Inc., 610 Chartwell Road, Suite 204, Oakville, Ontario, L6J 4A5; or by visiting our website at www.harvestportfolios.com; or on SEDAR at www.sedar.com.

Unitholders may also contact us using one of these methods to request a copy of the Fund’s proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosure.

INVESTMENT OBJECTIVES AND STRATEGY

The Fund seeks to replicate, to the extent reasonably possible and before fees and expenses, the performance of the Solactive Global Gold Giants Index TR (the “Index”). The Fund primarily invests in large gold mining issuers that are listed on a regulated stock exchange in North America, Australia or in certain European countries.

In order to achieve its investment objectives and to obtain direct or indirect exposure to the Constituent Securities1 of the Index, the Fund may hold the Constituent Securities of the Index in approximately the same proportion as they are reflected in that Index or may hold securities of one or more exchange traded funds that replicate the performance of the Index, or a subset of such Index. The Fund will invest in its own portfolio comprised of various securities and instruments which may include, but are not limited to, equity and equity related securities. Equity related securities held by the Fund may include, but are not limited to, convertible debt, income trust units, single issuer equity options, preferred shares and warrants. If market conditions require, in order to preserve capital, the Fund may seek to invest a substantial portion of their respective assets in cash and cash equivalents.

RISK

The risks associated with investing in the Fund are as described in the prospectus. There were no material changes to the Fund over the period that affected the overall level of risk of the Fund.

RESULTS OF OPERATIONS

The Fund returned 29.04% compared to the Solactive Global Gold Giants Total Return Index of 30.19% for the period ended December 31, 2020.

The Fund tracks the Solactive Global Gold Giants Index TR which provides investors with a low-cost vehicle to access the world’s largest gold companies listed on stock exchanges in select developed markets.

The global pandemic that quickly erupted through the end of February caused significant disruptions to the markets and equally caused volatility levels, both realized and implied, to expand to extreme levels in many cases not seen even during the financial crisis of 2008. Uncertainty over the systemic disruptions and timing of any return to normalcy kept volatility at extreme levels for several months. The volatility and uncertainty were met swiftly with significant and in many countries, unprecedented stimulus, both monetary and fiscal. This allowed credit markets to stay fluid and provided some stability to the broader economic systems and resulted in overall extreme volatility subsiding toward early summer. While the vaccine rollouts have sparked some positive thoughts on the future, uncertainty remains in the near-term as to the duration and longer-term economic impact of the pandemic and systemic shutdowns.

While the increased trade tensions between the US and China, and tensions between Iran and the US remain, they have moved to the background with the incoming Biden administration. The extreme measures taken by the Federal Reserve, and other central banks, to backstop corporate debt in the wake of the global pandemic, liquidity injections, money creation, and expanding debt levels all combined with ever more negative real interest rates across the curve. With this macro-backdrop, gold prices moved higher, as investors look to the yellow metal for safety from the potential fallout of all the unprecedented measures. Gold equities saw even larger moves than the price of gold alone, as margins expand, offering them leverage to the higher gold prices.

The Fund was invested in the 20 largest global gold companies by market cap on an equal-weighted basis at the end of the period. They are mainly headquartered in Canada, Australia, the UK, and the U.S.

1 As defined in the Fund’s prospectus dated January 7, 2021.

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RECENT DEVELOPMENTS

The spread of the coronavirus (“COVID-19”) has caused volatility in the global financial markets and a slowdown in the global economy over the past year and may have a continued adverse impact on the financial performance of the Fund's investments. The extent of the overall impact to financial markets and the economy are highly uncertain and cannot be predicted as they will depend on the duration and renewed spread of the outbreak along with ongoing government restrictions. If the financial markets and/or the overall economy continue to be impacted for an extended period, the Fund's future investment results may be materially adversely affected.

RELATED PARTY TRANSACTIONS

There were no related party transactions during the reporting period, except for management fees and other expense reimbursements paid to Harvest, as noted below in Management and Other Fees.

MANAGEMENT AND OTHER FEES

Harvest Portfolios Group Inc. is the Manager of the Fund and is responsible for managing the Fund’s overall business and operations and provides key management personnel to the Fund. The Fund pays the Manager an annual management fee of 0.40%, plus applicable taxes, based on a percentage of the average daily net asset value (“NAV”) of the Fund.

Operating expenses The Fund is responsible for operating expenses relating to the carrying on of its business, including custodial services, interest, taxes, legal, audit fees, transfer agency services relating to the issue and redemption of units, and the cost of financial and other reports, costs and expenses for the Fund’s Independent Review Committee (“IRC”), including fees and expenses of the IRC members and compliance with applicable laws, regulations and policies. The Manager pays for such expenses on behalf of the Fund, except for certain expenses such as interest, and is then reimbursed by the Fund.

Other expenses The Manager will be reimbursed by the Fund for all reasonable costs, expenses and liabilities incurred by the Manager for performance of services on behalf of the Fund in connection with the discharge by the Manager of its duties hereunder. Such costs and expenses may include, without limitation: mailing and printing expenses for reports to unitholders and other unitholder communications; a reasonable allocation of salaries and benefits; and other administrative expenses and costs incurred in connection with the Fund’s continuous public offering and other obligations. These expenses are allocated by the Manager on a reasonable basis, across all the Harvest Portfolios Group Inc. Funds, and series of each applicable fund. These expenses were $5,108 for the year ended December 31, 2020 (2019 - $4,293) and are included in the unitholder reporting costs on the Statements of Comprehensive Income (Loss) in the financial statements.

Waivers and absorptions At its sole discretion, the Manager may waive management fees or absorb expenses of the Fund. There were no management fee waivers for the year ended December 31, 2020. The Manager absorbed $140,646 of expenses of the Fund for the year ended December 31, 2020 (2019 - $112,657). The Manager may cease doing so at any time without notice to unitholders. The management expense ratios of the Fund with and without the waivers and absorptions are reported in the Ratios and Supplemental Data table below.

RECOMMENDATION OR REPORTS BY THE INDEPENDENT REVIEW COMMITTEE

The Independent Review Committee tabled no special reports and made no extraordinary material recommendations to management of the Fund during the year ended December 31, 2020.

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FINANCIAL HIGHLIGHTS

The following tables present selected key financial information about the Fund and are intended to help you understand the Fund’s financial performance for the year ended December 31, 2020 and past annual periods. This information is derived from the Fund’s annual audited financial statements.

THE FUND’S NET ASSETS

PER UNIT 2020 2019 Net assets - beginning of year2 $ 24.69 $ 20.00 Increase (decrease) from operations Total revenue 0.54 0.32 Total expenses (0.24) (0.20) Realized gains (losses) for the year 2.67 1.18 Unrealized gains (losses) for the year (0.75) 3.86 Total increase (decrease) from operations1 $ 2.22 $ 5.16 Distributions3 From net investment income (excluding dividends) (0.06) (0.06) From dividends (0.13) (0.07) From capital gains (0.65) - Total annual distributions3 $ (0.84) $ (0.13) Net assets - end of year1 $ 31.02 $ 24.69

RATIOS AND SUPPLEMENTAL

DATA 2020 2019 Total net asset value $ 9,306,253 $ 4,937,722 Number of units outstanding 300,000 200,000 Management expense ratio4 0.68% 0.94% Management expense ratio before waivers or absorptions4 2.73% 3.18% Trading expense ratio5 0.22% 0.59% Portfolio turnover rate6 53.81% 78.74% Net asset value per unit $ 31.02 $ 24.69 Closing market price (HGGG) $ 31.65 $ 24.72

Explanatory Notes:

1. Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase (decrease) from operations is based on the weighted average number of units outstanding over the reporting period. It is not intended that the Fund’s net assets per unit table act as a continuity of opening and closing net assets per unit.

2. Net assets, at the commencement of operations on January 10, 2019 was $20.00.

3. Distributions, if any, are paid in cash.

4. Management expense ratio (“MER”) is based on total expenses (excluding commissions and other portfolio transaction costs) of the stated period and is expressed as an annualized percentage of the daily average net asset value during the period.

5. The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the period. In 2020 the calculation was modified to include certain transaction costs charged by the custodian. The trading expense ratio in prior period was not re-stated.

6. The Fund’s portfolio turnover rate indicates how actively the Fund’s portfolio advisor manages its portfolio investments. A portfolio turnover of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the period. The higher a Fund’s portfolio turnover rate, the greater the trading costs payable by the Fund and the greater the chance of an investor receiving taxable capital gains. There is not necessarily a relationship between a high turnover rate and the performance of a Fund.

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Past Performance The performance information presented herein assumes all dividends of the Fund during the periods presented were reinvested in additional securities of the Fund. The performance information does not take into account sales, redemptions, or other charges that would have reduced returns or affected performance. Past performance of the Fund is not necessarily indicative of how it will perform in the future.

YEAR-BY-YEAR RETURNS

The following chart presents the Fund’s performance for each of the years shown. The chart shows, in percentage terms, how much an investment made on the first day of each financial year would have grown or decreased by the last day of each financial year.

Fund Performance

2019 represents the period from January 10 to December 31

ANNUAL COMPOUND RETURNS

The following table shows the annual compound returns for the Fund. All returns are in Canadian dollars, on a total return basis, net of fees.

For comparison purposes the Solactive Global Gold Giants Index TR, in Canadian Dollars (the “Index”) is used. The return of the Index is calculated without the deduction of management fees and fund expenses whereas the performance of the Fund is calculated after deducting such fees and expenses. Please see the “Results of Operations” section of this report for a discussion on recent performance.

Since Investment Return % 1 Year 3 Years 5 Years 10 Years Inception* Fund Performance 29.04 - - - 26.94 Solactive Global Gold Giants Index TR 30.19 - - - 28.47 *Since inception January 10, 2019

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SUMMARY OF INVESTMENT PORTFOLIO

The major portfolio categories and top holdings of the Fund at the end of the period are indicated in the following tables. A detailed breakdown of the Fund’s holdings is available in the ‘‘Schedule of Investments’’ section of the Fund’s annual financial statements.

As at December 31, 2020

% of Net Asset Top Holdings Value Centerra Gold Inc. 6.4 SSR Mining Inc. 5.4 Yamana Gold Inc. 5.3 Fresnillo PLC 5.3 Polymetal International PLC 5.2 Alamos Gold Inc. 5.0 Agnico Eagle Mines Limited 5.0 Kirkland Lake Gold Ltd. 4.9 B2Gold Corp. 4.8 Limited 4.8 Saracen Mineral Holdings Limited 4.8 Corporation 4.8 Wheaton Precious Metals Corp. 4.7 Evolution Mining Limited 4.7 Northern Star Resources Limited 4.7 Newmont Mining Corporation 4.7 Franco-Nevada Corporation 4.7 Royal Gold, Inc. 4.6 Corporation 4.5 NOVAGOLD Resources Inc. 4.5 Cash and other assets and liabilities 1.2 Total 100.0

This summary of investment portfolio may change due to the ongoing portfolio transactions of the Fund. Quarterly updates of the Fund’s investment portfolio are available from Harvest Portfolios Group Inc. at www.harvestportfolios.com.

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SECTOR ALLOCATION

% of Net Asset Sector Value Gold 93.5 Precious Metals & Minerals 5.3 Cash and other assets and liabilities 1.2 Total 100.0

GEOGRAPHIC ALLOCATION

% of Net Asset Country of Risk Value Canada 55.3 Australia 19.0 United States 9.3 Mexico 5.3 Russia 5.2 Brazil 4.7 Cash and other assets and liabilities 1.2 Total 100.0

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Head Office

610 Chartwell Road, Suite 204

Oakville, Ontario L6J 4A5 Phone Number: 416.649.4541

Toll Free: 866.998.8298 Fax Number: 416.649.4542

Email: [email protected]